Random Forest on BTCUSD
28 Oct, 2023 - 30 Jun, 2024

Benchmark is CLOSE | Generated by QuantStats (v. 0.0.62)

Key Performance Metrics

Metric	close	Strategy
Risk-Free Rate	0.0%	0.0%
Time in Market	1.0%	100.0%

Cumulative Return	80.59%	370.25%
CAGR﹪	83.21%	388.35%

Sharpe	2.64	4.5
Prob. Sharpe Ratio	96.55%	99.86%
Smart Sharpe	2.14	3.64
Sortino	4.5	6.72
Smart Sortino	3.64	5.44
Sortino/√2	3.18	4.75
Smart Sortino/√2	2.57	3.84
Omega	1.03	1.03

Max Drawdown	-21.41%	-22.93%
Longest DD Days	107	31
Volatility (ann.)	58.52%	89.03%
R^2	0.0	0.0
Information Ratio	0.0	0.0
Calmar	3.89	16.94
Skew	32.47	16.23
Kurtosis	7198.24	7157.88

Expected Daily	0.0%	0.0%
Expected Monthly	6.79%	18.77%
Expected Yearly	34.38%	116.85%
Kelly Criterion	18.73%	-4.6%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.13%	-0.2%
Expected Shortfall (cVaR)	-0.13%	-0.2%

Max Consecutive Wins	1	19
Max Consecutive Losses	1	17
Gain/Pain Ratio	0.51	1.03
Gain/Pain (1M)	3.35	191.99

Payoff Ratio	1.23	0.89
Profit Factor	1.51	1.03
Common Sense Ratio	-	1.04
CPC Index	1.03	0.46
Tail Ratio	-	1.01
Outlier Win Ratio	140.38	2.05
Outlier Loss Ratio	0.07	2.06

MTD	-9.82%	5.22%
3M	-12.0%	24.54%
6M	45.28%	166.15%
YTD	44.91%	164.41%
1Y	80.59%	370.25%
3Y (ann.)	83.21%	388.35%
5Y (ann.)	83.21%	388.35%
10Y (ann.)	83.21%	388.35%
All-time (ann.)	83.21%	388.35%

Best Day	10.87%	21.55%
Worst Day	-9.09%	-17.45%
Best Month	45.98%	67.53%
Worst Month	-9.82%	-3.01%
Best Year	44.91%	164.41%
Worst Year	24.62%	77.85%

Avg. Drawdown	-3.76%	-0.5%
Avg. Drawdown Days	12	1
Recovery Factor	3.1	7.49
Ulcer Index	0.08	0.06
Serenity Index	0.05	0.34

Avg. Up Month	17.66%	34.37%
Avg. Down Month	-	-
Win Days	55.19%	50.64%
Win Month	77.78%	77.78%
Win Quarter	66.67%	100.0%
Win Year	100.0%	100.0%

Beta	-	0.0
Alpha	-	4.0
Correlation	-	0.08%
Treynor Ratio	-	311990.74%

EOY Returns vs Benchmark

Year	close	Strategy	Multiplier	Won
2023	24.62	77.85	3.16	+
2024	44.91	164.41	3.66	+

Worst 10 Drawdowns

Started	Recovered	Drawdown	Days
2023-12-25	2024-01-24	-22.93	31
2023-12-14	2023-12-14	-20.09	1
2024-03-04	2024-03-06	-19.50	2
2024-04-13	2024-04-17	-17.07	4
2024-04-27	2024-05-27	-14.59	31
2024-01-26	2024-02-11	-13.07	16
2024-04-18	2024-04-24	-10.92	7
2024-06-12	2024-06-27	-9.71	15
2024-02-28	2024-02-28	-9.54	1
2024-04-03	2024-04-13	-9.26	11